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Lunacy in the Stock Market—What is the Evidence?

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  • Anthony Herbst

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    Abstract

    Popular culture and folklore have long recognized the influence of the lunar cycle on plant, animal, and human behavior. Many of the effects have been validated in the physical and biological sciences. However, until recently such effects have been largely, if not completely ignored in the academic literature of financial economics. This study aims to contribute to answering whether there is, as some claim, a lunar influence on stock prices or volatility. The findings of this work support the Efficient Markets Hypothesis—no consistent, predictable lunar influence is found on either daily returns or daily price volatility in the Dow Jones Industrial Average, for either new or full moons. Some effects are found, but not consistent or predictable with lunar and calendar information alone. Copyright Springer Science+Business Media, LLC 2007

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    File URL: http://hdl.handle.net/10.1007/s10818-007-9016-3
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Bioeconomics.

    Volume (Year): 9 (2007)
    Issue (Month): 1 (April)
    Pages: 1-18

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    Handle: RePEc:kap:jbioec:v:9:y:2007:i:1:p:1-18

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    Web page: http://www.springerlink.com/link.asp?id=103315

    Related research

    Keywords: lunar cycles; moon phases; stock market; volatility; E44; G12; G14;

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    1. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    2. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
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    Cited by:
    1. Reschenhofer, Erhard & Lingler, Michaela, 2013. "Detecting synchronous cycles in financial time series of unequal length," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 1-9.

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